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Hm, I hadn't counted on this being so complicated. Do you have any suggestions on how I can minimize slippage on the buy and sell side? Or am I doomed to use market buy orders and stop loss (market) orders?

Well, you can enter positions with limit orders and just accept that sometimes you won't get filled. Fills on limit orders are mostly a problem when you want to get breakouts or when you absolutely insist on buying on the exact line of support or selling on the exact line of resistance.

Think logically about what you are trying to accomplish and then try and find methods that would work but can also be adapted to include some more "actual market" type of adjustments. For instance, rather than buying at support, buy at support + x ticks. Of course when buying / selling breakouts this type of adjustment may not work and market orders may be needed.

With regards to stops, I never use stop-limits. When I want to get out, I don't want to miss my stop just because I am quibbling over a tick.

w00dmann

Thanks rleplae,

Good suggestion, and yes I have tested my strategy on the ES, and it didn't fare very well. I really am hoping to be able to get it to work on the TF if at all possible.

Considering that your system is so sensitive to slippage, I can tell you right now that it won't work going forward. Have you run a backtest to determine whether the system is viable (in-sample / out-of-sample testing, etc..)? Gut feel tells me that the system won't stand up to a rigorous backtest.

If you want to pursue algorithmic trading, research Kevin Davey. He has a very good track record for the period he made public, has a book (which I have not read), posts here as kevinkdog and he also has a website where he helps people find systems that work.

I am not sure if you are still struggling with this topic, but here are a few things to keep in mind.

If you ever use a trailing stop or some sort of stop based on a condition that is called during bar updates, consider the time frame that it is running on. If you set this update on the OnBarUpdate method and you are using a larger timeframe 5 minutes, 1 minute, heck even 500 ticks may be too large and you may miss some of the price action that occurred in the more granular time frame. Try setting this at something very granular like 20-50 ticks, or better yet a different event handler like OnMarketData, this would chase the price a little faster and get you out quicker.

Also consider the benifit of a resting market order for your stop. I don't know if you are submitting your stop order as a SetStopLoss that gets held at the exchange, but this would likely get triggered better than if you have a condition called like.

if(condition = true)
{
ExitLong();
}

In a fast market you may get serious slippage with this approach. Also consider different instruments that have a lower spread. The ES is one of the worst because it has a 12.5 dollar spread that it will hit all market orders with, once you factor in slippage too it will kill you. Try the YM or NQ, these have far less slippage relative to their tick value and overall movement.